"Click yes to make a romlist (good for StellaDC) Burn your extracted roms (No Zips!) and romslist on another CD and just swap them once StellaDC has loaded up."
^-- This part is what is over my head. I made the romslist, right? Well what is it saying after that? Burn the emulator and the roms on seperate cd's or something?
Yeah, you can do that with many Dreamcast emulators, it's pretty handy for testing your games or different versions of them.
These romdisks do not need any special settings. You just burn them like you would burn any data backup CD.